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Price risk management by using dynamic hedging based on advanced Black-Scholes model
Lu, Peili; Shen, Jiaqi; Zhao, Liheng; Qin, Haoyang; … - In: International journal of financial engineering 7 (2020) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10012602709
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The Buffett critique : volatility and long-dated options
Gupta, Neeraj J.; Kurt, Mark; White, Reilly - In: Journal of economics and finance 40 (2016) 3, pp. 524-537
Persistent link: https://www.econbiz.de/10011659004
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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FX options and smile risk
Castagna, Antonio - 2010
Persistent link: https://www.econbiz.de/10003849324
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008
Persistent link: https://www.econbiz.de/10003680543
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Risk Managing Long-Dated Smile Risk with SABR Formula
Moni, Claudio - 2014
used, in particular for long expiries and in high volatility environments. For example, we obtain positive sensitivities to …
Persistent link: https://www.econbiz.de/10013062318
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A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
He, Xin-Jiang; Chen, Wenting - In: Mathematics and financial economics 15 (2021) 2, pp. 381-396
Persistent link: https://www.econbiz.de/10012500035
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Gold price risk management through Nova 3 option strategy created by barrier options
Šoltés, Michal; Harčariková, Monika - In: Investment management and financial innovations 13 (2016) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10011630674
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Managing the equity risk using Short Put Ladder strategy by barrier options
Timková, Monika; Šoltés, Michal - In: Investment management and financial innovations 16 (2019) 4, pp. 133-145
Persistent link: https://www.econbiz.de/10012177653
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Valuation and Risk Management of Vanilla LIBOR Swaptions in a Fallback
Skoufis, Georgios - 2022
Regulators and central banks are defining-through mathematical formulae-the market microstructure for the calculation of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will replace a particular LIBOR post its cessation. The...
Persistent link: https://www.econbiz.de/10013309036